Non-linear affine processes with jumps

We present a probabilistic construction of $\mathbb{R}^d$ -valued non-linear affine processes with jumps. Given set $\Theta$ parameters, we define family sublinear expectations on the Skorokhod space under which canonical process X is (sublinear) Markov generator. This yields tractable model for Knightian uncertainty expectation Markovian functional can be calculated via partial integro-differential equation.